Price limits in product market have been discarded in classic microeconomics. However, price limits affect the trade behavior of the same agent, since agents in the stock market change their trade status frequently. D...Price limits in product market have been discarded in classic microeconomics. However, price limits affect the trade behavior of the same agent, since agents in the stock market change their trade status frequently. Due to the controversy on the institution effectiveness of the price limits in stock market, this paper design an experimental market with two stocks with continuous bid, in which we investigate the impact of the price limits on the stock market. The results show that the price limits moderate the price volatility within and between the trades periods, thus can stabilize stock price. In addition, price limits, when measured by traditional approach, restrain the fluidity of the market, reduce the volatility of transaction shares and maintain durative of fluidity. While volatility-based fluidity measurements show that the fluidity is enhanced significantly in stock market with price limits.展开更多
A numerical method for predicting fiber orientation is presented to explore the flow properties of turbulent fiber suspension flowing through a stock pump impeller. The Fokker-Planck equation is used to describe the d...A numerical method for predicting fiber orientation is presented to explore the flow properties of turbulent fiber suspension flowing through a stock pump impeller. The Fokker-Planck equation is used to describe the distribution of fiber orientation. The effect of flow-fiber coupling is considered by modifying the constitutive mode.The three-dimensional orientation distribution function is formulated and the corresponding equations are solved in terms of second-order and fourth-order orientation tensors. The evolution of fiber orientation, flow velocity and pressure, additional shear stress and normal stress difference are presented. The results show that the evolutions of fiber orientation are different along different streamlines. The velocity and its gradient are large in the concave wall region, while they are very small in the convex wall region. The additional shear stress and normal stress difference are large in the inlet and concave wall regions, and moderate in the mid-region, while they are almost zero in most downstream regions. The non-equilibrium fiber orientation distribution is dominant at the inlet and the concave wall regions. The flow will consume more energy to overcome the additional shearing losses due to fibers at the inlet and the concave wall regions. The change of flow rates has effect on the distribution of additional shear stress and normal stress difference. The flow structure in the inlet and concave wall regions is essential in the resultant rheological properties of the fiber suspension through the stock pump impeller, which will directly affect the flow efficiency of the fiber suspension through the impeller.展开更多
E-lottery is a popular game for its convenience provided by the lnternet. An e-lottery scheme based on voting is proposed. The scheme is publicly verifiable and the fairness can be guaranteed. Lottery players not only...E-lottery is a popular game for its convenience provided by the lnternet. An e-lottery scheme based on voting is proposed. The scheme is publicly verifiable and the fairness can be guaranteed. Lottery players not only provide seed numbers to create the initial value of the lucky number, but also have an opportunity to change the intermediate value of the lucky number by means of voting. The new property of the scheme makes the lottery game more interactive and attractive to players. The anonymity of submitting the lottery ticket and casting the vote is achieved. Comparison with other existing elottery schemes is given.展开更多
To relieve traffic congestion in urban rail transit stations,a new identification method of crowded passenger flow based on automatic fare collection data is proposed.First,passenger travel characteristics are analyze...To relieve traffic congestion in urban rail transit stations,a new identification method of crowded passenger flow based on automatic fare collection data is proposed.First,passenger travel characteristics are analyzed by observing the temporal distribution of inflow passengers each hour and the spatial distribution concerning cross-section passenger flow.Secondly,the identification method of crowded passenger flow is proposed to calculate the threshold via the probability density function fitted by Matlab and classify the early-warning situation based on the threshold obtained.Finally,a case study of Xinjiekou station is conducted to prove the validity and practicability of the proposed method.Compared to the traditional methods,the proposed comprehensive method can remove defects such as efficiency and delay.Furthermore,the proposed method is suitable for other rail transit companies equipped with automatic fare collection systems.展开更多
This paper proposes a dimension reduction technique on lattice model, an extension of the discrete CRR （1979） model, for option pricing. Applications are demonstrated on pricing some vulnerable options with the payo...This paper proposes a dimension reduction technique on lattice model, an extension of the discrete CRR （1979） model, for option pricing. Applications are demonstrated on pricing some vulnerable options with the payoff functions including two stochastic processes： the underlying stock price and the assets value of the option writer. Instead of building a bivariate tree structure for these correlated processes, a univariate binomial tree for the underlying stock price is only constructed. The proposed univariate binomial tree model is sufficient to undertake, though two underlying assets are involved.展开更多
Price volatility in stock market brings potential profile positions to the traders. How to predict the direction of the stock market or stock price becomes the primary job for traders＇ trading model. We are looking f...Price volatility in stock market brings potential profile positions to the traders. How to predict the direction of the stock market or stock price becomes the primary job for traders＇ trading model. We are looking for the direction of the market in a given timeframe. High-frequency traders will consider the potential profile-out position in millisecond level. Long-term holder will look into month time scale. For most of average traders, the ideal timeframe will be on daily base. In this paper, for a non-news trading day, the author will introduce statistics method to predict the stock prices and bid-ask spread for day trading.展开更多
Although Brazil has a long history of having insider trading laws （IT laws） in place and became the first emerging country to enforce the IT laws （Bhattacharya ＆ Daouk, 2002）, criminal sanctions and hefty monetar...Although Brazil has a long history of having insider trading laws （IT laws） in place and became the first emerging country to enforce the IT laws （Bhattacharya ＆ Daouk, 2002）, criminal sanctions and hefty monetary penalties were only made possible by the amendment of its laws against IT on October 31, 2001. We study the stock price effects of merger announcements made by 151 firms over two periods, before and after the change of IT laws. Our empirical results suggest that target firms attained positive price run-ups in pre-announcement windows before, but not after, the legal regime change. While acquiring firms had strong positive pre-announcement reactions in both legal regimes, the abnormal returns （AR） decreased in the more stringent legal regime. These results indicate that more stringent IT laws may deter IT and improve market efficiency in an emerging country.展开更多
The empirical study uses black swan approach to analyze the performance of South African （ZA） listed property loan stocks （PLSs）. Although there are no empirical studies on black swan perspective and performance o...The empirical study uses black swan approach to analyze the performance of South African （ZA） listed property loan stocks （PLSs）. Although there are no empirical studies on black swan perspective and performance of listed real estate funds, the study found that there are similar traits of investing in listed real estate funds from emerging markets＇ perspective and what black swan advocates such as passive investment strategy and non-normality distribution of returns from listed real estate funds. Furthermore, the individual return of each fund was higher the return of the property loan stocks index and the probabilities of all variables confirm that they （variables） are significant when alpha is 10% at confidence level of 90%.展开更多
基金Acknowledgements： This research is supported in part by National Nature Science Foundation of China （No. 70672029 and 70532001）, project of key base for studies of social science of Ministry of Education of China （No. 05JJD630023）, Social Science Foundation of Tianjin （No. TJ05-GL004）, base for innovation of Philosophy and Social Science 985 Project-＂Management and institution innovation of Corporate in China＂ item.
文摘Price limits in product market have been discarded in classic microeconomics. However, price limits affect the trade behavior of the same agent, since agents in the stock market change their trade status frequently. Due to the controversy on the institution effectiveness of the price limits in stock market, this paper design an experimental market with two stocks with continuous bid, in which we investigate the impact of the price limits on the stock market. The results show that the price limits moderate the price volatility within and between the trades periods, thus can stabilize stock price. In addition, price limits, when measured by traditional approach, restrain the fluidity of the market, reduce the volatility of transaction shares and maintain durative of fluidity. While volatility-based fluidity measurements show that the fluidity is enhanced significantly in stock market with price limits.
基金Supported by the National Natural Science Foundation of China （51309118）, the National Key Technology R＆D Program of the Ministry of Science and Technology of China （2011BAF14B01）, the Postdoctoral Science Foundation of China （2013M531282） and the Doctorate Program of Higher Education of China （20120101110121）.
文摘A numerical method for predicting fiber orientation is presented to explore the flow properties of turbulent fiber suspension flowing through a stock pump impeller. The Fokker-Planck equation is used to describe the distribution of fiber orientation. The effect of flow-fiber coupling is considered by modifying the constitutive mode.The three-dimensional orientation distribution function is formulated and the corresponding equations are solved in terms of second-order and fourth-order orientation tensors. The evolution of fiber orientation, flow velocity and pressure, additional shear stress and normal stress difference are presented. The results show that the evolutions of fiber orientation are different along different streamlines. The velocity and its gradient are large in the concave wall region, while they are very small in the convex wall region. The additional shear stress and normal stress difference are large in the inlet and concave wall regions, and moderate in the mid-region, while they are almost zero in most downstream regions. The non-equilibrium fiber orientation distribution is dominant at the inlet and the concave wall regions. The flow will consume more energy to overcome the additional shearing losses due to fibers at the inlet and the concave wall regions. The change of flow rates has effect on the distribution of additional shear stress and normal stress difference. The flow structure in the inlet and concave wall regions is essential in the resultant rheological properties of the fiber suspension through the stock pump impeller, which will directly affect the flow efficiency of the fiber suspension through the impeller.
文摘E-lottery is a popular game for its convenience provided by the lnternet. An e-lottery scheme based on voting is proposed. The scheme is publicly verifiable and the fairness can be guaranteed. Lottery players not only provide seed numbers to create the initial value of the lucky number, but also have an opportunity to change the intermediate value of the lucky number by means of voting. The new property of the scheme makes the lottery game more interactive and attractive to players. The anonymity of submitting the lottery ticket and casting the vote is achieved. Comparison with other existing elottery schemes is given.
基金The National Key Research and Development Program of China(No.2016YFE0206800)
文摘To relieve traffic congestion in urban rail transit stations,a new identification method of crowded passenger flow based on automatic fare collection data is proposed.First,passenger travel characteristics are analyzed by observing the temporal distribution of inflow passengers each hour and the spatial distribution concerning cross-section passenger flow.Secondly,the identification method of crowded passenger flow is proposed to calculate the threshold via the probability density function fitted by Matlab and classify the early-warning situation based on the threshold obtained.Finally,a case study of Xinjiekou station is conducted to prove the validity and practicability of the proposed method.Compared to the traditional methods,the proposed comprehensive method can remove defects such as efficiency and delay.Furthermore,the proposed method is suitable for other rail transit companies equipped with automatic fare collection systems.
文摘This paper proposes a dimension reduction technique on lattice model, an extension of the discrete CRR （1979） model, for option pricing. Applications are demonstrated on pricing some vulnerable options with the payoff functions including two stochastic processes： the underlying stock price and the assets value of the option writer. Instead of building a bivariate tree structure for these correlated processes, a univariate binomial tree for the underlying stock price is only constructed. The proposed univariate binomial tree model is sufficient to undertake, though two underlying assets are involved.
文摘Price volatility in stock market brings potential profile positions to the traders. How to predict the direction of the stock market or stock price becomes the primary job for traders＇ trading model. We are looking for the direction of the market in a given timeframe. High-frequency traders will consider the potential profile-out position in millisecond level. Long-term holder will look into month time scale. For most of average traders, the ideal timeframe will be on daily base. In this paper, for a non-news trading day, the author will introduce statistics method to predict the stock prices and bid-ask spread for day trading.
文摘Although Brazil has a long history of having insider trading laws （IT laws） in place and became the first emerging country to enforce the IT laws （Bhattacharya ＆ Daouk, 2002）, criminal sanctions and hefty monetary penalties were only made possible by the amendment of its laws against IT on October 31, 2001. We study the stock price effects of merger announcements made by 151 firms over two periods, before and after the change of IT laws. Our empirical results suggest that target firms attained positive price run-ups in pre-announcement windows before, but not after, the legal regime change. While acquiring firms had strong positive pre-announcement reactions in both legal regimes, the abnormal returns （AR） decreased in the more stringent legal regime. These results indicate that more stringent IT laws may deter IT and improve market efficiency in an emerging country.
文摘The empirical study uses black swan approach to analyze the performance of South African （ZA） listed property loan stocks （PLSs）. Although there are no empirical studies on black swan perspective and performance of listed real estate funds, the study found that there are similar traits of investing in listed real estate funds from emerging markets＇ perspective and what black swan advocates such as passive investment strategy and non-normality distribution of returns from listed real estate funds. Furthermore, the individual return of each fund was higher the return of the property loan stocks index and the probabilities of all variables confirm that they （variables） are significant when alpha is 10% at confidence level of 90%.
